Are you upset with the pics of you or other other women?
Have you told him how you feel about it?
What did he say?
Men typically keep these forwards as ways to show their own masculinity. Basically when their friends or acquaintances pull up what they have on their phones he has something to share as well. I know this is silly and immature, but few men want to be caught with nothing as it looks like their wives or girlfriends are censoring them. It isn't that he wants to keep them for himself, he simply does not want to look like a sissy for erasing them.
Now, with that being said if this really is bothering you then its better you talk to him. What I would suggest is you sit down and think this though first.......knowing why he has them may ease your mind a little and you may find that this really isn't a big deal. But if it is and it still bothers you then you must talk to him.
Let him know how it makes you feel and ask him why he wants to keep them knowing it upsets you. Explain to him your reasons and ask him if he would consider erasing them. In the end you must communicate with him.........if you keep this bottled up and allow it to eat away at you eventually you will resent him. Most men do not think it is a big deal, and so they will not think twice about saving pictures. But if you sit him down and explain your reasons why he is more likely to remove them.
He may not be showing it, but typically this is why a man saves these pictures. Of course he would not likely let you know he is showing it to friends either, because if he did he knows you would think him immature.
The reality is guys are more visual then women, and when they save stuff like this on their phones its typically for the purpose of showing it to other people.
In the end if it bothers you then you have to talk to him. The fact is he isn't going to know what he is doing upsets you unless you tell him. If you keep this bottled up then he has no clue he is doing anything wrong.
I know you do not want to tell him for fear he will think you are insecure but the reality is your feelings matter regardless of where they stem from. Many women feel insecure about men watching or viewing porn. It is natural for this to bother you some, the key is to explain to him why it bothers you and request that he remove them.